A note on the continuity of local times

Author:

Geman Donald

Abstract

Several conditions are given for a stochastic process X ( t ) X(t) on [ 0 , 1 ] [0,1] to have a local time which is continuous in its time parameter (for example, in the Gaussian case, the integrability of [ E ( X ( t ) X ( s ) ) 2 ] 1 / 2 {[E{(X(t) - X(s))^2}]^{ - 1/2}} over the unit square). Furthermore, for any Borel function F F on [ 0 , 1 ] [0,1] with a continuous local time, the approximate limit of | F ( s ) F ( t ) | / | s t | |F(s) - F(t)|/|s - t| as s t s \to t is infinite for a.e. t [ 0 , 1 ] t \in [0,1] and s | F ( s ) = F ( t ) s|F(s) = F(t) is uncountable for a.e. t [ 0 , 1 ] t \in [0,1] .

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference6 articles.

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